Thread by @paststat

ok , now lets move onto calculating the call value of ATM from the head ..

for jul 11 , 31600 , remaining days are 7

and yrly days are 365

calculate sqrt(remain days ) / sqrt ( yearly days )

so sqrt(7/365) = 0.14

iv is 16

iv * 0.14 = 16*0.14 = about 2.2

call price = atm strike * 0.4*iv*sqrt(remain/yr)/100 = 31600*0.4*2.2 = 278

so what is the 31600 july 11 call price now ??

per put call parity put price should also be the same ..

but you always see a difference in call being quoted a bit higher , why ??

because holding 20 units of bank index 31600 costs about say 6 laks , and at 6% interest per month works out 3k , or per week say 800

now with just buying 31600 calls with just 6k vs 6 laks am also claiming the rights for underlying right , which is not fair , so that inrerest rate of 800 is added to calls vs puts !!

so roughly the calls quote about 100 bucks* calendar days remaining for expiry , extra than put per one contract !!